Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0001
Annualized Std Dev 0.1957
Annualized Sharpe (Rf=0%) -0.0006

Row

Daily Return Statistics

Close
Observations 5410.0000
NAs 1.0000
Minimum -0.1992
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.1412
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0123
Skewness -0.8732
Kurtosis 27.4843

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0091
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.5199
Historical VaR (95%) -0.0175
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0162
From Trough To Depth Length To Trough Recovery
2005-10-24 2008-12-15 2012-11-07 -0.5199 1724 759 965
2016-07-15 2020-03-18 NA -0.4632 1159 908 NA
1999-05-06 2000-05-22 2002-06-27 -0.3190 744 253 491
2013-02-06 2013-12-16 2015-01-15 -0.2454 483 216 267
2004-03-31 2004-05-10 2005-06-07 -0.1854 291 27 264

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.8 0 0 1.3 -0.5 -0.5 -1.4 0 -0.5 0.5 -0.6 1.2 -2.1
2000 0.6 -0.6 -0.6 -0.6 1.8 1.2 -0.6 0 1.1 -0.6 0 0.5 2.3
2001 -0.4 0.4 0.8 0 0.2 1.1 -0.1 0.7 0.1 -1.1 0.2 0.5 2.3
2002 0 -0.1 0 0.1 1.8 0.2 -0.7 -0.4 0.8 -1.1 0.1 0.9 1.6
2003 0.2 -0.2 -0.1 0.8 0.7 -0.1 -0.2 0.1 -0.6 0.2 -0.4 -0.1 0.3
2004 0.6 0.6 0.1 -1.1 0.8 0 0 -0.7 0.3 0.9 -0.1 0.5 2
2005 -0.8 0.3 -1.2 1.2 -0.8 -0.1 -1.5 -0.6 0 0.5 0.1 0.9 -2.1
2006 1.3 -0.1 1.9 -1 1.3 0.4 0.1 -0.6 -0.1 0.5 -1.7 0.1 2.2
2007 -1 0.4 0.3 1.5 0.5 2.9 -2.1 0 -0.1 0.7 0.5 0.4 4.1
2008 1.6 -3 -0.2 -0.5 0.2 3.4 -0.3 0.1 -4.7 -0.3 -1.2 2.9 -2.2
2009 1.2 -3 0.3 -1.8 0.5 0.8 -0.5 0.2 -0.3 -0.9 5.5 -0.5 1.6
2010 0.7 0 0.8 -0.4 0.2 0 -0.2 0 0.5 -0.2 0.6 3.3 5.2
2011 -1.1 -0.6 2.1 -1.1 0.6 0 -1 0.1 -0.8 -0.3 1.2 -0.3 -1.4
2012 0.7 0 1 0.7 0.3 -1.1 0.5 0.1 0.2 1.6 0.7 -0.6 4.2
2013 -0.1 0.2 -0.8 0.8 -4.7 0.2 -1.3 -0.6 0.2 -1.2 -0.8 -0.6 -8.5
2014 -0.3 0.4 1.1 0.7 0.4 0.1 -2.7 -0.1 0.5 -0.4 -0.8 -0.1 -1.1
2015 0.9 -0.9 0.2 -0.9 1.6 2.7 1.9 -0.5 -0.5 1.3 0.6 0 6.5
2016 -0.5 0.5 0.9 0 0.9 0.1 -0.9 -0.4 0.7 -2.5 -1 0.7 -1.7
2017 0 -1.4 -1.1 0.4 0.8 0.2 -0.5 0.6 -0.5 0 0.2 0.1 -1.3
2018 -1 0.2 0 0 -1.2 0.5 -1.2 0.5 -0.1 1.1 0.8 0.4 0
2019 0.1 0.2 0.1 1.3 -0.1 -0.1 1.6 3.4 -0.1 0.4 0.4 -0.8 6.7
2020 0.6 -2.8 -4.1 -0.1 0.5 0 -0.2 1.5 0.1 1 -0.1 0.1 -3.6
2021 -0.8 -0.6 0.8 NA NA NA NA NA NA NA NA NA -0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.3 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.3 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart